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MULTIDIMENSIONAL CREDIBILITY MODEL AND ITS APPLICATION
Authors: Pacáková Viera | Soltes Erik | Linda Bohdan
Year: 2014
Type of publication: článek v odborném periodiku
Name of source: E+M Ekonomie a Management
Publisher name: Technická univerzita v Liberci
Place: Liberec
Page from-to: 170-184
Titles:
Language Name Abstract Keywords
cze Vícerozměrný model kredibility a jeho aplikace Projekt Solvency II klade důraz na modelování a řízení rizik pojišťoven. Zlepšování metod výpočtu pojistného je účinným faktorem při snižování pojistného technického rizika pojišťovny. Tento článek se zabývá zobecnění jednorozměrného Bühlmann-Straubova modelu kredibility. Zaměřujeme se především na odhad tzv. strukturálních parametrů a využití SAS Enterprise Guide při jejich výpočtu. Model je aplikován na skutečné údaje v povinném ručení motorových vozidel. kredibilní pojistné; Buhlmann-Straub model; vícerozměrný kredibilní model; odhad strukturních parametrů; zákonné pojištění motorových vozidel
eng MULTIDIMENSIONAL CREDIBILITY MODEL AND ITS APPLICATION Solvency II project places emphasis on the modelling and management of risks of the insurance companies. This requires further improvement in actuarial methods and their application in insurance practice. Improving the quality of premium calculation methods is an effective factor in reducing the insurance technical risk of an insurer. Presentation the methods of premium calculation and its permanent updating is the aim of this article. Credibility theory is an experience rating technique to determine premiums, claim frequencies or claim sizes. Credibility models are based on the realistic concept of a heterogeneous insurance portfolio. Therefore, two sources of information are used in the calculation of the credibility estimators for the individual risk: typically little knowledge about the individual risk and quite extensive statistical information about entire portfolio. The most important model in the credibility theory is Buhlmann-Straub model. This model has a wide range of possibilities to be used in praxis mainly in general insurance. Besides that this model is a basis for other more specific models such as hierarchical, multidimensional or regression credibility models. In this article we deal with generalisation of one-dimensional Buhlmann-Straub credibility model to the multidimensional credibility model. We mainly focus on estimation of so-called structural parameters and usage of SAS Enterprise Guide application when estimating. The multidimensional Buhlmann-Straub credibility model is applied based the real data in motor vehicle third party liability insurance. Credibility premium; Buhlmann-Straub model; multidimensional credibility model; estimation of structural parameters; motor vehicle third party liability insurance

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